文章基本信息

标题：Inter-temporal CAPM: an empirical test with Brazilian market data
本地全文：下载
作者：Octavio Portolano Machado ; Adriana Bruscato Bortoluzzo ; Sérgio Ricardo Martins 等
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2013
卷号：11
期号：2
页码：149-180
语种：English
出版社：Link to the Brazilian Society of Finance
摘要：This paper examines the empirical validity of the Inter-temporal Capital Asset Pricing Model (ICAPM) with Brazilian market data. The Bali and Engle (2010) methodology is used with the estimation of conditional covariances between stock portfolio returns and pricing factors. The covariances are then used as explanatory variables in the pricing equation. The results validate the model for the 1988 to 2012 period. The estimated risk aversion coefficient is positive and significant, and the relevant pricing factors are interest rates, inflation and gold prices; the reverse is true in the case of the exchange rate. Breaking up the sample period into sub-periods indicates that major events (changes in economic regimes and the 2008 crisis) are capable of modifying the associations observed and reducing the model’s validity.
其他摘要：This paper examines the empirical validity of the Inter-temporal Capital Asset Pricing Model (ICAPM) with Brazilian market data. The Bali and Engle (2010) methodology is used with the estimation of conditional covariances between stock portfolio returns and pricing factors. The covariances are then used as explanatory variables in the pricing equation. The results validate the model for the 1988 to 2012 period. The estimated risk aversion coefficient is positive and significant, and the relevant pricing factors are interest rates, inflation and gold prices; the reverse is true in the case of the exchange rate. Breaking up the sample period into sub-periods indicates that major events (changes in economic regimes and the 2008 crisis) are capable of modifying the associations observed and reducing the model’s validity.
关键词：Intertemporal CAPM;conditional correlations;risk aversion coefficient;CAPM Intertemporal;correlações condicionais;coeficiente de aversão a risco
其他关键词：Intertemporal CAPM; conditional correlations; risk aversion coefficient;C32; G12